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https://doi.org/10.1515/zireb-2017-0009

Forecasting Capacity of ARIMA Models; A Study on Croatian Industrial Production and its Sub-sectors

Daniel Tomić ; Juraj Dobrila University of Pula, Faculty of Economics and Tourism «Dr.Mijo Mirković», Pula, Croatia
Saša Stjepanović ; Juraj Dobrila University of Pula, Faculty of Economics and Tourism «Dr.Mijo Mirković», Pula, Croatia

Puni tekst: engleski, pdf (275 KB) str. 81-99 preuzimanja: 154* citiraj
APA 6th Edition
Tomić, D. i Stjepanović, S. (2017). Forecasting Capacity of ARIMA Models; A Study on Croatian Industrial Production and its Sub-sectors. Zagreb International Review of Economics & Business, 20 (1), 81-99. https://doi.org/10.1515/zireb-2017-0009
MLA 8th Edition
Tomić, Daniel i Saša Stjepanović. "Forecasting Capacity of ARIMA Models; A Study on Croatian Industrial Production and its Sub-sectors." Zagreb International Review of Economics & Business, vol. 20, br. 1, 2017, str. 81-99. https://doi.org/10.1515/zireb-2017-0009. Citirano 20.11.2019.
Chicago 17th Edition
Tomić, Daniel i Saša Stjepanović. "Forecasting Capacity of ARIMA Models; A Study on Croatian Industrial Production and its Sub-sectors." Zagreb International Review of Economics & Business 20, br. 1 (2017): 81-99. https://doi.org/10.1515/zireb-2017-0009
Harvard
Tomić, D., i Stjepanović, S. (2017). 'Forecasting Capacity of ARIMA Models; A Study on Croatian Industrial Production and its Sub-sectors', Zagreb International Review of Economics & Business, 20(1), str. 81-99. https://doi.org/10.1515/zireb-2017-0009
Vancouver
Tomić D, Stjepanović S. Forecasting Capacity of ARIMA Models; A Study on Croatian Industrial Production and its Sub-sectors. Zagreb International Review of Economics & Business [Internet]. 2017 [pristupljeno 20.11.2019.];20(1):81-99. https://doi.org/10.1515/zireb-2017-0009
IEEE
D. Tomić i S. Stjepanović, "Forecasting Capacity of ARIMA Models; A Study on Croatian Industrial Production and its Sub-sectors", Zagreb International Review of Economics & Business, vol.20, br. 1, str. 81-99, 2017. [Online]. https://doi.org/10.1515/zireb-2017-0009

Sažetak
As one of the most important indicator for monitoring the production in industry as well as for directing investment decisions, industrial production plays important role within growth perspectives. Not only does the composition and/or fluctuation of the goods produced indicate the course of economic activity but it also reflects the changes in cyclical development of the economy thereby providing opportunity to macro-manage with early signs of (short-term) turning-points and (long-term) trend variations. In this paper, we compare univariate autoregressive integrated moving average (ARIMA) models of the Croatian industrial production and its subsectors in order to evaluate their forecasting features within short and long-term data evolution. The aim of this study is not to forecast industrial production but to analyze the out-of-sample predictive performance of ARIMA models on aggregated and disaggregated level inside different forecasting horizons. Our results suggest that ARIMA models do perform very well over the whole rage of the prediction horizons. It is mainly because univariate models often improve the predictive ability of their single component over the short horizons. In that manner ARIMA modelling could be used at least as a benchmark for more complex forecasting methods in predicting the movements of industrial production in Croatia.

Ključne riječi
industrial production; industrial sub-sectors; cycles; ARIMA; forecasting; Croatia

Projekti
HRZZ / IP / IP-2013-11-9481 / MEGASFORA - Modeliranje ekonomskog rasta - napredno sekvenciranje i algoritam predviđanja

Hrčak ID: 182006

URI
https://hrcak.srce.hr/182006

Posjeta: 297 *